Macro Economic Models
Alpha Growth Capital has developed models based on macro economic indicators that estimate the fair value of the S&P500, Consumer Price Index and Gold. The basic models are free for download; scroll down for the link.
We use these models to identify arbitrage opportunities with high probability of success. For example in February 2021, we identified a major gap between the actual and estimated value of the Consumer Price Index. We then took some bullish positions on the US Treasury bond yields.
It is important to keep in mind that these models are not predictive. We need an action for a reaction to take place (e.g. large quantitative easing in the case of the CPI estimate in February 2021). When using these models is important to keep in mind that there might be a time lag in between the current market value of e.g. the S&P500 and the value estimated by the model. Usually this is the result of the market participants and their behavior; for instance see below the S&P500 estimated value and actual value during the Dotcom bubble. It takes sometime for the large majority of the investors to come across a mismatch and act accordingly.
We use these models to identify arbitrage opportunities with high probability of success. For example in February 2021, we identified a major gap between the actual and estimated value of the Consumer Price Index. We then took some bullish positions on the US Treasury bond yields.
It is important to keep in mind that these models are not predictive. We need an action for a reaction to take place (e.g. large quantitative easing in the case of the CPI estimate in February 2021). When using these models is important to keep in mind that there might be a time lag in between the current market value of e.g. the S&P500 and the value estimated by the model. Usually this is the result of the market participants and their behavior; for instance see below the S&P500 estimated value and actual value during the Dotcom bubble. It takes sometime for the large majority of the investors to come across a mismatch and act accordingly.
S&P500 model: model vs. actual data.
Gold model: model vs. actual data.
Consumer Price Index model: model vs. actual data.
Models for downloads by clicking the link below:
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By downloading the file, it is acknowledged that Alpha Growth Capital IS NOT RESPONSIBLE for: 1) any financial loss associated with the use of the model 2) the model accuracy
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Disclaimer:
- Alpha Growth Capital is not responsible for any financial loss associated with the use of the files shared on this website.
- Please review the Terms & Conditions of the service before downloading; here.